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By the obvious symmetry, in the time between two consequitive `draws' (when your total wealth becomes zero) you are equally likely to stay in `black' or in `red'. As more games are played, more draws will occur, which seem to imply that the fraction of time spent in `black' goes to 1=2. However, the arcsine law explains that this intuition is completely wrong! The fraction is more likely to be close to extremities 0 and 1 than to be close to 1=2.
Zeroes of the RW
Each possible path of the RW, (Sj ; j = 0; 1; : : : ; n) (where S0 = 0), has probability 2 n. Note that Sn = 0 is only possible for n even. A piece of path between zeroes (draws) is called excursion (from zero). Let u2n = P(S2n = 0) f2n = P(S2n = 0; but Sj 6= 0 for j = 1; : : : ; n 1) be the chances of a return to 0 and of the rst return, at time 2n. For a return to zero the RW goes some n steps up and some n steps down, hence 2n 2 2n: u2n = n
Lemma 1
u f2n = 2n 2 : 2n
First proof of Lemma 1: Introduce n Nn(a; b) = ; c = (n + b a)=2 c the number of paths from (wealth) a to b in n 6= steps, Nn 0(a; b) = the number of paths that do not visit 0 (except, perhaps, the endpoints) 0 Nn (a; b) = the number of paths that visit 0 (endpoints not counted). Then by the rststep decomposition and symmetry 6= 6= 6= N2n0(0; 0) = N2n0 1(1; 0) + N2n0 1( 1; 0) = 6= 6= 2N2n0 1(1; 0) = 2N2n0 2(1; 1): By the re exion principle 0 N2n 2(1; 1) = N2n 2( 1; 1) which yields 6= 0 N2n0 2(1; 1) = N2n 2(1; 1) N2n 2(1; 1) = 1 2n 2 N2n 2(1; 1) N2n 2( 1; 1) = n n 1 and nally 2 2n 2 : 6= 6= N2n0(0; 0) = 2N2n0 2(1; 1) = n n 1
Indeed, the probability to return to 0 at step 2n and visit 0 for the rst time at step 2k is equal to f2k u2n 2k. In the language of generating functions 1 1 X X u2nz2n f2nz2n; U (z) := F (z) := n=0 n=1 the recursion translates as U (z) = 1 + U (z)F (z) () F (z) = 1 1=U (z) (multiply (1) by z2n and add up over n). Recalling the binomial series (1 + x) = with b:c: n := ( 1) n( ! and checking 2n = ( 4)n 1=2 n n
n=0 n
k=1
f2k u2n 2k :
(1)
1 X
xn ; n + 1)
we derive Thus
U (z) = q F (z) = 1
1 z2
q
1 z2; whose binomial-series expansion yields n+1 1=2 = 1 2n 2 2 2n+1 ; f2n = ( 1) n n n 1 which is the same as u f2n = 2n 2 : 2n
Lemma 2.
2k 2n 2k 2 n: (2) p2k;2n = u2k u2n 2k = k n k Proof. Check that f2n = u2n 1 u2n, from which the `no draws' probability is P(S1 6= 0; : : : ; S2n 6= 0) = 1 f2 f4 : : : f2n = 1 (1 u2) (u2 u4) : : : (u2n 2 u2n) = u2n; and (2) follows for k = 0 and k = n 1.
Proceed by induction. If the RW spends 2k 6= 0; 2n seconds in the winning zone, then there is a return to 0. Let 2r be the return time. Then either the rst excursion is positive (so 2r 2k) and (S2r+1; : : : ; S2n) stays 2k 2r seconds in the winning zone, or the rst excursion is negative (so 2(n r) 2k) and
(S2r+1; : : : ; S2n) spends 2k seconds in the winning zone. Thence k 1Xf p 1 nXk f p p2k;2n = 2 r=1 2r 2k 2r;2n 2r + 2 r=1 2r 2k;2n 2r ; which by induction and (1) is equal to 1 1u u2k + u2k u2n 2k = u2k u2n 2k : 2 2n 2k 2 0; 35 one of the players will never be in the winning zone! And the chance of parity 10 : 10 is only 0; 06. The probability law 2k 2n 2k 2 2n; k = 0; : : : ; n p2k;2n = k n k is `the discrete arcsine' distribution for the time spent in the winning zone.
Large n approximation
Recall Stirling's formula: n! 2 n(n=e)n (for n ! 1), from which 1 q ; k ! 1; n k ! 1: p2k;2n k(n k) Thus the chance that the fraction of time in the winning zone assumes a value between 1=2 and x (1=2 < x < 1) is X 1 k (1 k ) 1=2 ; p2k;2n n n n k:1=2<k=n<x which is a Riemann sum for 1 Z x q dt = 2 arcsin pt 1 : 2 1=2 t(1 t) By symmetry, the probability for k=n 1=2 goes to 1=2.
that in n games the fraction of time spent in the winning zone is at most x (0 < x < 1) approaches 1 Z x q dt 0 t(1 t) as n ! 1. The U-shaped function 1q 1 t(1 t) is at in the middle of 0; 1] and goes to 1 at the endpoints, thus it is much more likely that the fraction belongs to 0; ] 1 ; 1] than that it is within from 1=2.
Theorem For r = 0; 1; : : :
1 q2n;r = 2n 2
r
2n r : n
From this (with some calculus) one can deduce that 2 1 q2n;r p e r =n n for n ! 1 and r = o(n2=3. This entails: draws in n games does not exceed x n converges to s Z 2 x e t2=2dt 0 (this is a half of the `bell-shaped curve', the law of the modulus of a normal variable).
Proof.
We see that the number of games after the last draw before a given time n is typically of the order of n.